Equity Fund Monthly Report, April 2023,
2023
Bryant University
Equity Fund Monthly Report, April 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
The Effect Of Social Skills On Analyst Performance,
2023
Duquesne University
The Effect Of Social Skills On Analyst Performance, Cong Cong Li, An-Ping Lin, Hai Lu
Research Collection School Of Accountancy
Social skills are important but difficult to measure. So far, few empirical studies have examined the effect of social skills on the performance of professionals. Using the number of LinkedIn connections as a proxy for social skills, we investigate the effect of financial analysts' social skills on their performance. We use multiple ways to validate the measure of social skills and show that analysts with better social skills produce more accurate earnings forecasts and that their stock recommendations elicit stronger market reactions. Furthermore, these socially skilled analysts are more likely to be voted as All-Star Analysts. This study provides the …
An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables,
2023
Embry-Riddle Aeronautical University
An Investigation Into The Economic Useful Life Of Commercial Aircraft As Impacted By Maintenance And Economic Variables, Robert Gallagher
Doctoral Dissertations and Master's Theses
This research involved examining the economic useful life of commercial aircraft and the impact of maintenance and economic variables on the viability and longevity of the asset. The data sample consisted of the entire population of Boeing commercial aircraft produced between 1956 and 2021. The objective was to determine the effect of both maintenance and economic variables on the longevity and usefulness of commercial aircraft. As manufacturers work with issues such as service life, economic life, safety, and critical design features, those in the aviation community focus on the operational side of the equation––how long can one operate the asset, …
Fraud Pattern Detection For Nft Markets,
2023
Southern Methodist University
Fraud Pattern Detection For Nft Markets, Andrew Leppla, Jorge Olmos, Jaideep Lamba
SMU Data Science Review
Non-Fungible Tokens (NFTs) enable ownership and transfer of digital assets using blockchain technology. As a relatively new financial asset class, NFTs lack robust oversight and regulations. These conditions create an environment that is susceptible to fraudulent activity and market manipulation schemes. This study examines the buyer-seller network transactional data from some of the most popular NFT marketplaces (e.g., AtomicHub, OpenSea) to identify and predict fraudulent activity. To accomplish this goal multiple features such as price, volume, and network metrics were extracted from NFT transactional data. These were fed into a Multiple-Scale Convolutional Neural Network that predicts suspected fraudulent activity based …
Equity Fund Monthly Report, March 2023,
2023
Bryant University
Equity Fund Monthly Report, March 2023, Bryant University, Archeay Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, March 2023,
2023
Bryant University
Fixed Income Fund Report, March 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
A Review On Derivative Hedging Using Reinforcement Learning,
2023
Singapore Management University
A Review On Derivative Hedging Using Reinforcement Learning, Peng Liu
Research Collection Lee Kong Chian School Of Business
Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed reinforcement learning (RL) in formulating optimal hedging strategies. Specifically, different RL algorithms have been applied to learn the optimal offsetting position based on market conditions, offering an automatic risk management solution that proposes optimal hedging strategies while catering to both market dynamics and restrictions. In this article, the author provides a comprehensive review of the use of …
Peer Effects In Equity Research,
2023
University of Technology Sydney
Peer Effects In Equity Research, Kenny Phua, Mandy Tham, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
We study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in their network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.
Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model,
2023
Singapore Management University
Price Comovement And Market Segmentation Of Chinese A- And H-Shares: Evidence From A Panel Latent-Factor Model, Yingjie Dong, Wenxin Huang, Yiu Kuen Tse
Research Collection School Of Economics
This paper examines the price comovement of cross-listed Chinese A- and H-shares using a panel model with latent factors and a heterogeneous long-run structure. Our model is more flexible than the cointegration system and is estimated using the data-driven Cup–Lasso method. The long-run H-share price discounts are heterogeneous across different groups of stocks. We have identified both stationary and nonstationary latent factors in the price differentials, which are driven by different economic variables. By analyzing the factor loadings of the nonstationary latent factor, we identify some trading-friction and information-friction variables that have effects on the price convergence between the A- …
The Information In Industry-Neutral Self-Financed Trades,
2023
Chapman University
The Information In Industry-Neutral Self-Financed Trades, Yashar H. Barardehi, Zhi Da, Mitch Warachka
Business Faculty Articles and Research
We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) as stock trades financed by offsetting, equivalent dollar-denominated stock trades in the same industry. Approximately 37% of short-term mutual fund trading profits can be attributed to these trade pairs. Consistent with informed trading, INSFIT precedes unusually high media coverage for the underlying stocks. The trades underlying INSFIT are also larger as the release of stock-level news becomes more imminent. Both relative valuation and the hedging of industry exposure motivate INSFIT’s industry neutrality. While INSFIT positively impacts fund performance, active fund managers who execute INSFIT more aggressively obtain smaller trading profits per execution.
Equity Fund Monthly Report, February 2023,
2023
Bryant University
Equity Fund Monthly Report, February 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Fixed Income Fund Report, February 2023,
2023
Bryant University
Fixed Income Fund Report, February 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Simultaneous Multilateral Search,
2023
Singapore Management University
Simultaneous Multilateral Search, Sergei Glebkin, Bart Yueshen Zhou, Ji Shen
Research Collection Lee Kong Chian School Of Business
This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such a preference for BB speaks to the sluggish adoption of SMS trading, like request-for-quote protocols, in over-the-counter markets. Furthermore, a market-wide shift to SMS may not be socially optimal.
Fixed Income Fund Report, January 2023,
2023
Bryant University
Fixed Income Fund Report, January 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Equity Fund Monthly Report, January 2023,
2023
Bryant University
Equity Fund Monthly Report, January 2023, Bryant University, Archway Investment Fund
Archway Investment Fund
No abstract provided.
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?,
2023
Claremont Colleges
Do Divestment Announcements Affect Fossil Fuel Company Stock Returns?, Wesley Dale
CMC Senior Theses
In response to growing dissatisfaction from environmental activists, many large institutional investors have committed to divesting from fossil fuel related assets. Understanding the financial effects of these divestment movements is crucial to assessing their impact on climate change. Using a financial event study methodology with a sample of 50 divestment announcements from 2014 to 2022, this paper examines the effect that the announcement of these divestment decisions has on the stock returns of oil & gas and coal companies. I find the short term effect on stock prices following a divestment announcement to be insignificant, and I show that more …
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens,
2023
Claremont Colleges
Blockchain Games: What On And Off-Chain Factors Affect The Volatility, Returns, And Liquidity Of Gaming Crypto Tokens, Sumer Sareen
CMC Senior Theses
Blockchain games took the internet by storm as they offered a new way for users to play video games, own the assets in those games, and benefit monetarily from their efforts. Through Non-Fungible Tokens (NFTs) and cryptocurrencies, new, Web3 games ushered in a unique asset class for retail and institutional investors to diversify into and benefit from. This paper uses cross-sectional data from 30 blockchain gaming companies to identify on and off-chain factors that affect the company’s token volatility, returns, and liquidity. A multiple linear regression found the percentage of tokens dedicated to a company’s private sale and rewarding users, …
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange,
2023
Old Dominion University
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Finance Faculty Publications
This study examines the endogenous market choice and its impact on underwriter spread if Alternative Investment Market (AIM) IPOs that meet Main Market (MM) listing requirements had issued equity in the MM during the 1995–2021 period. We find that the spread is 1.33% higher in the AIM than the MM for IPO listings that meet the MM listing requirements. This finding suggests that AIM companies, meeting the MM listing requirements, could have saved more than £100 million by going public through the MM than the AIM market. We also find that this spread differential is attributed to the issuing firms' …
Art Investment Funds And Nfts,
2023
Sotheby's Institute of Art
Art Investment Funds And Nfts, Francesca Osborne
MA Theses
Art price inflation, rising levels of wealth, and the artworld’s financialization have
/="/">changed the way investors view the art market. In an attempt to capture the
/="/">momentous returns realized by successful collectors, art investment funds have
/="/">emerged with the conviction art can be used as a speculative or strategic alternative asset. However, the majority of art funds have been dissolved or put on hold. This paper examines the investment characteristics of fine art to uncover the rationale for art investment fund failures, finding the art market’s inefficiency as the foremost explanation. Subsequently, non-fungible token (NFT) art and …
Ownership Of Esg Characteristics,
2023
Old Dominion University
Ownership Of Esg Characteristics, Mark E. Bateman, Lisa R. Goldberg
School of Public Service Faculty Publications
A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors' Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.
